Your speakers have amplifiers built in, and they drive your speakers. The audio card in the computer cannot drive your headphones (they might if you have a Hi Impedence Phones). You plugin the phones to an earphone socket in your speakers if there's one, else get amplifiers for the headphones.
when I listen to music on my desktop computer with my headphones, it's not really loud enough. When I don't have headphones in, I can turn the volume on my speakers up really loudly. But with the headphones, if I turn the volume all the way up in both winamp, and the advanced volume control options, it's annoyingly quiet. Is there another program I can download maybe to control the volume? Before my computer crashed a few months ago, I had a problem where volume control wouldn't work at all, and I fixed it by using some other random program I found online, but I can't remember what it was.. thanks..